Well, aside from starting off weaker than you would be if you started in a school, there aren't many penalties. You can join and, given enough time, graduate from factions. It basically lets you build up your martial arts list before committing to a school. Once you join a school, your options are: Betray your school to join another or a faction and lose ALL of your school skills in the process. Go on an Excursion, where you keep your skills but their max level gets lowered and you are allowed to join factions, but not other schools. And finally you can go incognito, which I don't know what it entails because you need like 5.5Ding and aint nobody got time for that.